The July performance update report of rated Italian non-performing loan (NPL) securitisations is now available as pdf and online.

Italy was one of the largest markets for NPL securitisations globally thanks to the GACS government guarantee scheme that expired in 2022. The GACS has been considered a success in dealing with NPLs efficiently, but a significant number of GACS transactions have been underperforming the initial cash flow projections.

We update our projections for the repayment of 46 GACS transactions and 8 non-guaranteed Italian NPL securitisations for which there is publicly available information.

The total original gross book value (GBV) of Italian NPL transactions considered here is EUR 130.7 billion. Out of the 54 transactions, 28 transactions have a cumulative collection ratio (CCR) below 100% at the latest available reporting date. Currently, 22 transactions have a CCR below 90% and 20 deals have failed their CCR mezzanine interest subordination test. Of the 20 deals with failed CCR tests, 19 have been issued before 2020 (GACS 1.0). For 19 GACS deals (and one non-GACS), we project a loss on the senior tranche that would cause a call on the GACS guarantee starting in 2025 with a total undiscounted guarantee payout of around EUR 2 billion. This estimate is lower than our loss forecast last year.

As before, we use public information only, but this year we can refine our analysis with some updated business plan data that have become publicly available recently.

Overall, the performance of the GACS has deteriorated since our last report in mid 2023 but only mildly. Most GACS 2.0 transactions (i.e. those issued after 2019) are still outperforming their initially projected collections. 

To see the full interactive analysis in our Data Hub request access to nplmarkets.com